Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

03/11/2020
by   Karine Bertin, et al.
0

We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime.

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